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Eglo, Daniel; Leippold, Markus; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

We propose a simple and implementable model of credit contagion where we in-clude macro- and microstructural dependencies among the debtors within a creditportfolio. We show that, even for diversified portfolios, moderate microstructuraldependencies have already a significant impact on the tails...

Persistent link: https://www.econbiz.de/10005858362

Equilibrium Impact of Value-At-Risk

Leippold, Markus; Trojani, Fabio; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We study in a general perspective the partial equilibrium incentives and the general equilibrium asset pricing implications of Value-at-Risk (VaR) regulation in continuous time economies with intermediate consumption, stochastic opportunity set, and heterogenous attitudes to risk. Our findings...

Persistent link: https://www.econbiz.de/10005858903

Optimal Credit Limit Management

Leippold, Markus; Ebnoether, Silvan; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

complicated information structures. Moving to a partial information setup, incentive distortions emerge that are not in the bank …

Persistent link: https://www.econbiz.de/10005858857

Optimal Importance Sampling for Credit Portfolios with Stochastic Approximation

Egloff, Daniel; Leippold, Markus; Jöhri, Stephan - Institut für Schweizerisches Bankwesen <Zürich> - 2005

We introduce an adaptive importance sampling method for the loss distribution of credit portfolios based on the Robbins-Monro stochastic approximation procedure. After presenting the subtle construction of the algorithm, we apply our adaptive scheme for calculating the risk figures of a typical...

Persistent link: https://www.econbiz.de/10005858875

Taipei,China's banking problems: lessons from the Japanese experience

Montgomery, Heather - Volkswirtschaftliche Fakultät, … - 2002

and equity, steadily rising non-performing loans and bank runs at smaller financial institutions have highlighted problems …

Persistent link: https://www.econbiz.de/10009277288

The role of foreign banks in post-crisis Asia: the importance of method of entry

Montgomery, Heather - Volkswirtschaftliche Fakultät, … - 2003

economies, despite great increases in the post-crisis period. The author reviews regulations on foreign bank entry that may have … changes and the need for bank recapitalization in the region, the presence of foreign banks is expected to increase in the …, and may be due to the fact that foreign bank entry in Asia is still a very recent phenomenon, and has occurred mostly …

Persistent link: https://www.econbiz.de/10009278284